Critical fluctuations of demand and supply

H. Takayasu and M. Takayasu

Physica A: Statistical Mechanics and its Applications, 1999, vol. 269, issue 1, 24-29

Abstract: In order to describe price changes in open markets we introduce a virtual balanced price which is determined by the distribution of dealers’ expectation at a time. The dealers do not know directly the virtual balanced price but they can only guess it from the time series of market prices. By this assumption we derive a set of stochastic time evolution equations composed of the market price and the virtual balanced price as an extension of Langevin type equations.

Date: 1999
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:269:y:1999:i:1:p:24-29

DOI: 10.1016/S0378-4371(99)00076-X

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